Top Traders Unplugged
SI261: The Biggest Story in Asset Allocation ft. Nick Baltas
Sep 16, 2023
Nick Baltas, an investment strategy expert, discusses the shifting tides of investment strategy and the evolving dynamic between equities and bonds. They explore the historical correlation between these asset classes and the impact of inflation on asset allocation. They also touch on topics such as trend following strategies, hedge fund behavior, and the concept of network momentum across different asset classes.
59:19
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Quick takeaways
- Dynamic position sizing in trend following helps balance risk and capture gains in varying market environments.
- Network momentum in asset classes offers a different perspective on trend following, utilizing the interconnectivity and momentum spill-over between assets within an asset class network.
Deep dives
The Importance of Dynamic Position Sizing in Trend Following
Dynamic position sizing in trend following is crucial for portfolio risk management, allowing for adjustments in exposure based on market conditions. In instances of excessive market downturns, trend followers may buy back positions, reducing exposure as volatility increases. Conversely, during significant market upswings, trend followers may start selling, ensuring a prudent risk allocation. This dynamic position sizing helps to balance risk and capture gains in varying market environments, providing a more diversified and resilient portfolio.
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